Screening Shanghai-Listed Stocks with Amplitude and Bollinger Bands

Summary

This document presents a Chinese equity screening rule that combines daily price amplitude with a stock-code prefix and Bollinger Bands. It describes selecting stocks whose codes begin with 60, whose amplitude exceeds 1%, and whose close lies within the Bollinger envelope. The article interprets the amplitude condition as a volatility filter and the band condition as a way to identify prices within a recent range. It also suggests ranking candidates by popularity.

The examples include indicator logic and a Python sketch, but the stated rule and code do not fully agree: the prose refers to the region between the upper and middle bands, while the formula checks whether the close is between the lower and upper bands. The Python example also uses different band comparisons. No backtest results or return evidence are provided. The article cautions that selecting volatile stocks can increase risk and that widely watched bands may be affected by crowd behavior; it suggests adding technical and fundamental filters.

Key ideas

• The screen combines a daily amplitude threshold with a stock-code prefix and a Bollinger Band condition.
• The article describes the target price region inconsistently across its prose and code examples.
• A popularity ranking is suggested as an additional way to order selected stocks.
• The document provides no backtest evidence for the screen’s performance.
• The author notes volatility risk and suggests adding technical or fundamental filters.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.